TJX Options History — December 2015

In December 2015, TJX traded between $34.76 and $35.93. ATM implied volatility averaged 22.4%, placing in the 26.7% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded below realized volatility by 3.5% (HV 20d: 25.9%). Max pain ranged from $33.75 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.37.

Notable Days

  • 2015-12-02: Highest Volume — 11,362 contracts
  • 2015-12-11: Largest IV spike — 15.8% change
  • 2015-12-14: Highest IV Rank — 35.5%
  • 2015-12-14: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.41$34.76$35.93$35.39$35.53
Max Pain$33.86$33.75$35.00$35.00$33.75
ATM IV22.4%19.4%25.0%23.7%22.6%
Expected Move6.4%5.6%7.2%6.8%6.5%
HV 20d25.9%16.7%37.6%37.6%17.4%
HV 60d26.8%26.0%27.4%27.4%26.0%
IV Rank26.7%16.5%35.5%31.1%27.3%
IV Percentile63.5%38.5%85.7%79.0%63.9%
Term Structure0.8%-1.9%2.6%-1.4%-0.6%
VWIV22.5%19.5%27.2%23.3%21.7%
Skew 25d4.5%3.3%5.7%3.8%4.3%
Skew 10d9.9%3.9%13.4%3.9%8.6%
Call IV 25d20.5%18.6%23.3%22.4%20.1%
Put IV 25d25.1%23.2%27.9%26.1%24.4%
Bid-Ask Spread %18.3612.4926.6114.3220.36
Gamma HHI0.260.190.380.240.29
Net GEX3.5M1.2M6.3M2.9M4.5M
Net DEX-40.0M-63.2M-6.7M-38.9M-37.1M
Net VEX-319.3K-377.2K-278.8K-350.3K-280.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.370.462.530.931.27
Total Volume6,715.6361,37011,3621,3705,080
Total OI113,686.90993,582127,636120,872100,740

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-12-01$35.39$35.0023.7%6.8%37.6%31.1%23.3%3.8%-1.4%2.9M-38.9M-350.3K0.9314.32N/AN/A71066055,85465,018
2015-12-02$35.34$35.0024.6%7.1%37.2%34.2%24.4%3.3%-1.9%2.6M-39.5M-360.2K2.4612.49N/AN/A3,2848,07856,16665,258
2015-12-03$34.91$33.7523.8%6.5%37.3%31.4%23.2%4.7%1.6%1.8M-24.8M-377.2K1.3319.46N/AN/A2,9823,96258,07065,620
2015-12-04$35.47$33.7522.6%6.3%37.6%27.4%21.4%3.9%1.7%3.6M-48.1M-350.9K1.3315.72N/AN/A2,9923,97858,33861,402
2015-12-07$35.49$33.7524.3%6.5%37.0%33.0%27.2%4.3%1.3%3.8M-48.9M-344.2K1.0614.54N/AN/A2,7362,89058,30261,600
2015-12-08$35.66$33.7522.4%6.1%35.9%26.7%23.2%4.7%1.9%4.2M-55.7M-333.3K0.9716.71N/AN/A5,0284,89458,08661,336
2015-12-09$35.41$33.7522.7%6.5%35.8%27.7%21.3%4.5%1.8%3.1M-41.0M-341.6K0.4619.04N/AN/A6,1102,80859,16461,696
2015-12-10$35.73$33.7521.1%6.1%35.7%22.3%22.9%4.5%2.5%4.5M-57.4M-348.4K1.8218.96N/AN/A1,7983,26459,39461,726
2015-12-11$35.26$33.7524.5%7.0%32.9%33.8%25.0%4.8%1.2%3.0M-42.0M-335.2K2.5313.71N/AN/A1,3863,51058,97461,738
2015-12-14$35.42$33.7525.0%7.2%23.1%35.5%25.7%5.7%0.5%3.0M-43.5M-332.3K2.4720.33N/AN/A1,3543,34459,01862,320
2015-12-15$35.28$33.7523.5%6.7%22.3%30.5%21.2%5.3%1.4%2.7M-40.7M-304.6K0.6518.32N/AN/A6,4504,21659,04862,726
2015-12-16$35.93$33.7521.0%6.0%19.0%21.7%22.0%4.8%2.6%6.3M-63.2M-331.1K1.3817.83N/AN/A2,7543,78864,02663,024
2015-12-17$35.40$33.7522.6%6.5%20.0%27.2%22.3%4.6%1.4%1.2M-44.8M-316.1K1.7823.43N/AN/A1,9183,41463,82663,500
2015-12-18$34.76$33.7522.6%6.5%20.8%27.2%22.7%5.2%1.8%2.3M-6.7M-294.7K1.4918.80N/AN/A2,6143,88663,76663,870
2015-12-21$34.77$33.7522.1%6.3%16.7%25.7%22.5%4.7%0.4%2.4M-18.0M-284.3K1.0018.42N/AN/A3,5763,57246,43447,148
2015-12-22$35.20$33.7521.6%6.2%17.1%23.9%21.6%4.3%0.1%3.0M-25.0M-293.6K1.1526.61N/AN/A3,1723,64847,56048,460
2015-12-23$35.65$33.7519.4%5.6%17.7%16.5%19.5%4.7%1.0%4.4M-41.8M-296.3K0.7120.08N/AN/A4,9863,54248,52448,850
2015-12-24$35.45$33.7521.3%6.1%16.8%22.7%20.7%4.4%0.2%4.6M-40.8M-303.1K1.4719.33N/AN/A2,4283,57449,95249,566
2015-12-28$35.34$33.7522.2%6.4%16.7%26.0%22.6%4.3%-0.1%3.9M-32.5M-286.3K1.6916.51N/AN/A2,1383,62050,15249,872
2015-12-29$35.88$33.7519.8%5.7%17.2%17.7%21.0%4.4%0.5%4.8M-44.0M-278.8K1.1923.19N/AN/A2,8703,40450,18850,020
2015-12-30$35.72$33.7519.6%5.6%17.3%17.0%19.8%4.3%0.4%5.2M-44.7M-280.7K0.9715.77N/AN/A3,7123,61450,61250,168
2015-12-31$35.53$33.7522.6%6.5%17.4%27.3%21.7%4.3%-0.6%4.5M-37.1M-280.4K1.2720.36N/AN/A2,2342,84650,62450,116